1. JUN NI
1400 Martin St State College, PA 16803
(814) · 441 · 9649 jun.ni2012@gmail.com
EDUCATION
Pennsylvania State University(PSU)
Ph.D. in Mathematics
Overall GPA: 3.78/4.0
Advisor: Jingzhi(Jay) Huang, Qiang Du
Core Courses: Real Analysis, Partial Differential Equations, Functional Analysis, Numerical Solu-
tion of Ordinary Differential Equations, Numerical Solution of Partial Differential Equations, Regression
Models, Finite Element Methods, Nonlinear Partial Differential Equations, Advanced Computer Pro-
graming, Stochastic Process, Advanced topic in Stochastic Process, Probability Theory, Catagorical
Data Analysis, Multivariate Analysis, Data Mining.
Dissertation work: Group feature screening from high dimensional data set, bond risk premium
prediction and corporate default or bankruptcy forecast.
University of Science and Technology of China(USTC) June 2012
B.S. in Applied Mathematics
Overall GPA: 93/100, Rank: 1/89
Core Courses: Mathematical Analysis, Real Analysis, Functions of Complex Variable, Functional
Analysis, Linear Algebra, Number theory, Abstract Algebra , Analytic Geometry, Differential Geome-
try, Point-set Topology, Probability Theory, Mathematical Statistics,ODE, PDE, Numerical Analysis,
Numerical Algebra, Numerical PDE.,Advanced Real Analysis, Algebraic Topology, Modern PDE The-
ories, Graph Theory.
PUBLICATIONS
1. Xin Zang, Jun Ni, Jingzhi Huang and Lan Wu, Double-jump diffusion model for VIX: evidence from
VVIX(2015), Quantitative Finance. Accepted.
2. Jun Ni and Jingzhi Huang, Determinants and prediction of bond risk premium: nonlinear feature
screening from high dimensional macroeconomic fundamentals(2016). To be submitted.
WORK EXPERIENCE
August 2013-present Teaching Assistant for Math 141 (Calculus with Analytic Geometry ) and
Math 421 (Complex Analysis)
August 2012-May 2013 Researching Assistant for Dr. Qiang Du
TECHNICAL STRENGTHS
Proficient R, MATLAB, C++, Python, Latex, Office

2. RESEARCH EXPERIENCE
Department of Mathematics and Department of Finance, Pennsylvania State University
November 2015 - Present
Corporate default and bankruptcy prediction based on high dimensional classification
Advisors: Jingzhi(Jay) Huang State College, PA
· Incorporate the large data set of firm-specific and macroeconomic covariates, through high dimensional
classification techniques(AI Algorithm: Artificial Neural Networks and Statistical Algorithm: High
Dimensional Feature Screening) to achieve variable selection which have significant effects on corporate
default from large financial data set
· Exploit the time-series dynamics of the chosen explanatory covariates to reduced form model and
estimate the likelihood of default over several future periods.
Department of Mathematics and Department of Finance, Pennsylvania State University
June 2015 - April 2016
Determinants and prediction of bond risk premium: nonlinear feature screening from high
dimensional macroeconomic fundamentals
Advisors: Jingzhi(Jay) Huang State College, PA
· Built new links between bond risk premium and macroeconomic fundamentals, with the utilization of
different combinations of screening methods, nonlinearization and regularization techniques, we extract
different factor combinations from the macroeconomic series including employment, housing, financial,
inflation factors and so on, which result in stronger forecast power for the excess bond returns compared
with existing macro-based return predictors.
· Recovered the nonlinear effect of the macroeconomic predictors on the excess bond returns if incorporate
the nonlinearized macro data to the analysis.
· Proposed a robust approach for well performed prediction of the excess bond return from a compre-
hensive comparison of different approaches.
· Gave a comprehensive out-of-sample excess return prediction on ETF dataset.
Department of Mathematics and Department of Finance, Pennsylvania State University
December 2014 - August 2015
Double-jump diffusion model for VIX: evidence from VVIX
Advisors: Jingzhi(Jay) Huang State College, PA
· Studied the continuous-time dynamics of VIX with stochastic volatility and jumps in VIX and volatility.
Built on the general parametric affine model with stochastic volatility and jump in logarithm of VIX,
we derive a linear relation between the stochastic volatility factor and VVIX index.
· Detected the existence of co-jump of VIX and VVIX and put forward a double-jump stochastic volatility
model for VIX through its joint property with VVIX.
· Estimated the dynamics of VIX With VVIX index as a proxy for the stochastic volatility (MCMC).
· Comparing with the nested models on VIX, we showed that the jump in VIX and the volatility factor
is statistically significant and the jump intensity is also state dependent.
Department of Mathematics, Pennsylvania State University August 2013 - February 2015
Derivative-free algorithm to locate index-1 Saddle Point in Complex Energy Landscape
Advisors: Qiang Du State College, PA

3. · Research on numerical analysis, mathematical modeling and scientific computation, especially on al-
gorithm developing, a derivative-free algorithm to locate index-1 Saddle Point in Complex Energy
Landscape, and its Material and Chemistry application.
· Shrinking Dimer Dynamic Method applied in saddle point searching problems.
· Optimization of the energy between likely-charged spheres, focusing on the research on the likely-
charged spheres attraction phenomenon.Especially, developing constrained optimization method to find
the local and global minimum of the energy landscape, determining the distribution of ions for minimizer
of energy under different conditions, like different distances, radius ratios of the spheres or charge ratios
on the two spheres.
School of Mathematical Sciences, University of Science and Technology of China September
2010 - March 2012
National Innovation Program: A Class of Solution of WDVV Associativity Equation and
Its Geometric Meaning
Advisor: Dafeng Zuo Hefei, China
· Discussed the solution classification and its geometric and physical meaning of a type of exponential
solution of WDVV associativity equation.
· Studied the basis theory of differential geometry, partial differential equation and quantum field theory,
read related papers of Frobenius manifolds and WDVV associativity equation.
School of Mathematical Sciences, University of Science and Technology of China May
2011 - August 2011
Undergraduate Research Project: Concentration Compactness Theory and Its Application
to GBO Equation
Advisor: Lifeng Zhao Beijing, China
· Delved into the solution of nonlinear dispersive equations.
· Studied theory of harmonic analysis, concentration compactness theory, and some of the content of
variational method.
· Solved the existence and stability of solitary solution to KdV equation and Schrodinger equation through
the concentration compactness theory and variational method.
School of Mathematical Sciences, Peking University July 2011
Summer School of PDE
Advisor: Benoit Pausader Beijing, China
· Instructed by Assistant Professor Benoit Pausader from Brown University, research into the topic:
Harmonic analysis in PDEs.

4. EXTRACURRICULAR ACTIVITIES
April 2016 Quant Trading Conference in Princeton
August 2010 Summer Camp for Students of Excellence, Guanghua School of Management,
Peking University
2009-2012 Class Representative for Academic Affairs.
AWARDS
2012 University Graduate Fellowship, PSU
2011 National Honor Scholarship (top 2%) by Minster of Education, China
First-class Honor Scholarship (top 5%), USTC
2010 First-class Honor Scholarship (top 5%), USTC
National Endeavor Fellowship, USTC
First-class Award, Mathematics Modeling Competition, USTC
2009 Second-class Professional Award (top 10%), USTC
REFERENCE
Jingzhi(Jay) Huang
Professor of Finance David H. McKinley
Professor of Business
Professor of Mathematics
Smeal College of Business, The Penn State University
350 Business Building
University Park, PA 16802
(814) 863-3566 (tel)
(814) 865-3362 (fax)
jxh56@psu.edu